基于Nelson-Siegel模型对中国国债市场流动性的分析——上海证券交易所固定收益平台推出的影响  

Liqudity Analysis of China's Treasury Bond Market Based on the Nelson-Siegel Model——The Effect of the Exchange Flat of Fixed Income Securities

作　　者：吴逸[1] 

机构地区：[1]上海财经大学金融学院

出　　处：《中大管理研究》2009年第1期126-142,共17页China Management Studies

摘　　要：具有相同信用等级和剩余期限的债券,在不同市场上的收益率差别可视为流动性溢价,它是给予投资者承担额外流动性风险的补偿。基于这个理论,本文认为交易所国债市场和银行间国债市场的收益曲线之差,可以表示两个市场的流动性差别。本文用Nelson-Siegel模型拟合上海交易所国债市场和银行间国债市场的收益曲线,从利差期限结构实证研究不同期限的国债在两个市场上的流动性差别。并且,本文实证研究固定收益平台上线,股市变动和货币政策调整对市场相对流动性的影响。最终得出结论,固定收益平台的上线可以解释交易所相对于银行间市场在短期和长期债券上流动性升高的现象,同时,紧缩的货币政策也对长期的利差产生影响。The difference in return rates of the bonds, listed in different markets and characterized with the same credit levels and maturities, can be regarded as liquidity premium. It is the compensation for the investors bearing additional liquidity risk. Thus, the dispersion between the yield curves of Shanghai Security Exchange and Interbank market represents the liqudity disparity. Nelson-Siegel model was applied to fit the interest rate curves for the Shanghai Security Exchange and Interbank market, respectively. The difference of liquidities in two markets can be achieved from Term Structure of liquidity Spreads. The operation of the exchange flat of fixed income securities, the fluctuation of stock market and the monetary policies were employed to analyze the change of market relative liqudity. The result indicated that the start-up of the exchange flat of fixed income securities can explain the improvement of relative liquidity for Shanghai Security Exchange in the short-term and long-term treasury bonds. Meanwhile, the contracting monetary policies impacted the long-term liquidity premiums for Shanghai Security Exchange.

关 键 词：Nelson—Siegel模型 收益曲线拟合 流动性溢价 

分 类 号：F832.51[经济管理—金融学] F224